Visitors (often called Greys in popular culture) are aliens who came to Earth and gave Eric Cartman an anal prob in the pilot episode "Cartman Gets an Anal Probe". They also kidnap Ike later in the same episode. As a matter of fact, Visitors believe that cows are the most intelligent species on Earth. And considering the fact that they were studying South Park, it would seem they are rather justified in thinking this, if not totally accurate.
South Park animators have "hidden" visitors in many episodes, especially early in the series. They poke a little fun at this practice in "Canceled" when the receptionist at the proctologist's office is a Visitor disguised only in a wig. Then, to the sound of percussive music, this Visitor dramatically removes his/her wig. In the latest season it was a contest for viewers to find where they were hidden. They can predominantly be spotted in different places in certain episodes. Some of these visitors could be in fact citizens of South Park.